Lecture Notes.
Additional bibliography:
• Brooks, Introductory Econometrics for Finance, Chapter 8.
• Wilmott, Quantitative Finance, Chapter 51.
• Bjork, Arbitrage Theory in Continous Time, Chapters 20-25.
• Brigo and Mercurio, Interest Rate Models - Theory and Practice, Chapters 1-6 and 21-22.
• Shreve, Stochastic Calculus for Finance II, Chapter 11.